CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.5000	153.47***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.5000	-147.54***
λ₁ tau intercept Baseline long-term coefficient	0.2117	23.93***
λ₂ forecast adj. Forecast performance sensitivity	0.4291	12.68***
λ₃ tau persistence Long-term factor persistence	0.5709	72.50***

V-Lab

Kaleon SpA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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